本文關鍵詞： 個人賬戶基金 投資模式 投資策略 行為投資組合理論 MNL模型　出處：《山東財經(jīng)大學》2013年碩士論文　論文類型：學位論文

【摘要】：老齡化的到來，對全球范圍內的養(yǎng)老保險體系提出了考驗，傳統(tǒng)的現(xiàn)收現(xiàn)付制已經(jīng)難以為繼。上世紀末，各國紛紛開始對養(yǎng)老保險制度進行改革，中國也不例外。1995年，我國由傳統(tǒng)的現(xiàn)收現(xiàn)付制向“統(tǒng)賬結合”的部分積累制模型轉變。新的制度為每位參保者建立了個人賬戶，但是由于養(yǎng)老保險統(tǒng)籌賬戶入不敷出和統(tǒng)籌賬戶、個人賬戶的混賬經(jīng)營，統(tǒng)籌賬戶開始透支個人賬戶的資金，造成了個人賬戶的“空帳”運行。在意識到“空帳”是我國養(yǎng)老保險制度改革道路上的絆腳石之后，我國分三批開始對14個省市做實個人賬戶基金。做實個人賬戶的速度驚人，截止到2012年3月，全國做實個人賬戶達2700多億元。 做實了的個人賬戶分兩種運營方式，一部分是中央財政補助部分，可由省級政府委托給全國社�；鹄硎聲M行投資運營，并承諾一定的收益率。另一部分由地方負責運營管理。兩部分基金的收益率形成鮮明對比：截止到2011年底，全國社�；鸬哪昃找媛蕿�8.41%，超過同期通貨膨脹率近6個百分點，比承諾的收益率高出4.9個百分點。但是，地方管理的個人賬戶基金的投資范圍被嚴格限制在銀行存款和國債上，10年來的年均收益率不到2%，跑不過每年的通貨膨脹率，增值保值就成為空談。國內學術界已經(jīng)達成共識，認為個人賬戶基金能否增值保值關系到我國養(yǎng)老保險制度的改革的成敗。因此，尋找個人賬戶基金的高效的投資方式就成了當務之急。本文正是基于此目的進行了相關研究。具體來講，本文分為六章，主要內容如下： 第1章，總結了本文的研究背景，引出了本文主要的研究內容。在此基礎上，分別從養(yǎng)老保險基金投資模式、行為金融學和投資比例的確定三方面概括歸納了國內外養(yǎng)老保險基金投資研究現(xiàn)狀。最后給出了本文的研究思路、研究方法和創(chuàng)新。第2章，先是寫出了我國個人賬戶基金的發(fā)展過程以及發(fā)展現(xiàn)狀，，然后建立了基金平衡收支模型，算出了維持基金平衡收支的最低收益率要求，結合我國個人賬戶基金投資收益率現(xiàn)狀，得出了現(xiàn)行基金收益率與我們所期望的收益率的差距。接下來分析了我國個人賬戶基金投資運營中的問題所在。第3章，比較世界上比較有代表性的國家的養(yǎng)老保險基金運營模式，提取出了對我國有借鑒性的部分。第4章，結合第3章的結論和我國現(xiàn)狀，提出適合我國的個人賬戶基金投資運營模式，并為各角色物色合適的機構，進而從效率和風險控制兩個方面給出了完善該投資運營模式的補充。第5章，運用行為投資組合理論和隨機效用理論建立MNL模型，來描述投資經(jīng)理的實際投資行為，然后運用14支優(yōu)秀標準混合型基金的投資數(shù)據(jù)進行實證分析，得出“可參照的”投資組合比例。第6章，針對上述研究提出有助于我國做好個人賬戶基金有效投資的建議。 本文在借鑒了國內外養(yǎng)老保險基金投資研究的基礎上對我國個人賬戶基金有效投資進行了探索性研究。希望通過本文的寫作，對我國個人賬戶基金投資運營提供一些借鑒意義。
[Abstract]:The arrival of aging of the globe has challenged old-age insurance system. The traditional PAYG system has been difficult to continue. At the end of last century, many countries began to reform the pension system, China is no exception in.1995, our country from the traditional PAYG system to the part accumulation model transformation. The new system is established for each insured individual account, but because the pension insurance account deficits and pooling accounts, personal accounts "management, account overdraft of personal account funds, resulting in a personal account of the operation of" empty account ". After realizing the" empty account "is a stumbling block the road of reform of endowment insurance system in our country, our country started in three batches of 14 provinces and cities. Personal accounts fund personal accounts at an alarming rate, by the end of March 2012, the national personal accounts The household is about 270000000000 yuan.
Real personal accounts run in two ways, one part is the central financial subsidy, provincial government entrusted NSSF investment operations, and promised a certain rate of return. The other part isoperated by local government. The two part of the fund's yield in stark contrast: by the end of 2011, the national social security fund's average annual rate of return of 8.41% over the same period, inflation rate of nearly 6 percentage points, 4.9 percentage points higher than the revenue commitments. However, the local management of personal account fund investment scope is strictly limited to bank deposits and government bonds, in 10 years the average annual yield of less than 2%, but run the annual inflation rate, increment will become empty. Domestic academic circles have reached a consensus that the individual account fund can hedge value related to the reform of the old-age insurance system in China's success. Therefore, finding the efficient investment way of personal account fund has become a top priority. Based on this purpose, this paper has carried out related researches. Specifically, the paper is divided into six chapters. The main contents are as follows:
The first chapter summarizes the research background of this paper, the main research contents in this paper. On this basis, respectively, from the pension insurance fund investment patterns, determine the behavior finance and investment proportion of the three sums up the research status of domestic and foreign pension fund investment. Finally this paper gives the research methods and innovation the first is to write. In the second chapter, the development process of China's personal account funds and the development of the status quo, then established a fund balance model, calculated the minimum income to maintain the fund balance rate requirements, combined with the investment income of China's individual account funds rate situation, the current fund yields and we expect the rate of return the gap in our country. Then analyzed the personal account fund investment operation problems. The third chapter compares the world more endowment insurance based representative countries Jinyun Business model is extracted on the part of China reference. In the fourth chapter, combined with the conclusion of the third chapter and the current situation of our country, put forward for China's personal account fund investment operation mode, and for the role of suitable control mechanism, and proposed two supplement the investment operation model from efficiency and risk. The fifth chapter, using the behavioral portfolio theory and random utility theory to establish the MNL model to describe the actual behavior of investment managers, investment data, and then use the 14 outstanding hybrid funds for empirical analysis, draw the "reference" proportion of the portfolio. In the sixth chapter, based on the above research are helpful to our country make effective investment of personal account fund.
Based on the research of pension fund investment at home and abroad, this paper makes an exploratory research on the effective investment of personal account fund in China. I hope this article will provide some reference for our personal account fund investment and operation.

【學位授予單位】：山東財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.5

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